Viggo Mortensen purchased the horse who played the title character (T.J.) after this film was completed.
The final horse scene was filmed in Browning, Montana. 550 different horses were used in that scene. The horses all came from different owners, so to tell them apart, their hooves were branded.
In the beginning of the film, after the massacre of Wounded Knee, we see chief Big Foot lying dead in what seems to be an unnatural pose, left arm raised from the ground. This is an accurate depiction of the Miniconjou chief's actual death pose which was photographed. Unlike what is shown in the film there was a great deal of snow on the ground. This pose was due to the chief falling back into a snowbank. The next morning, when the photographer arrived at the site of the massacre, all of the bodies were frozen solid. The true horror was not shown, but among the many bodies were the frozen figures of a mother shot in the back and holding a baby.
Screenwriter John Fusco got the idea for the film when doing research for Thunderheart (1992). He was told stories about Hidalgo by an elderly chief, while living on the Pine Ridge reservation.